Everything you need can be found here
http://www.matroska.org/downloads/windows.html
I personally like Media Player Classic
For more detailed steps, go here (last post on the page)
http://www.moviecodec.com/thread/1373.html
Finally, if you happen to have a missing codec for the matroska file, use videoinspector to find out which one
http://www.kcsoftwares.com/?vtb